The law of the supremum of a stable Lévy process with no negative jumps
Publication:948745
DOI10.1214/07-AOP376zbMath1185.60051arXiv0706.1503MaRDI QIDQ948745
Goran Peskir, Violetta Bernyk, Robert C. Dalang
Publication date: 20 October 2008
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0706.1503
Wiener-Hopf factorizationAbel equationfirst hitting timeRiemann-Liouville fractional differential equationweakly singular Volterra integral equationpolar kernelstable Lévy process with no negative jumpsfirst entry timerunning supremum processspectrally positive
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Related Items (35)
Cites Work
- Predicting the ultimate supremum of a stable Lévy process with no negative jumps
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
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- Introductory lectures on fluctuations of Lévy processes with applications.
- Russian and American put options under exponential phase-type Lévy models.
- A note on the supremum of a stable process
- On the maximum of sums of random variables and the supremum functional for stable processes
- Maxima of sums of random variables and suprema of stable processes
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